Harvey, Andrew; Sucarrat, Genaro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 320-338
An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are set out. Evidence for skewness in a conditional...
